Not usually. Bought "snack" ones don't have shells. But you can eat fresh ones with the shell on -- you just get a bit more woody stuff with the kernel.
get a fry pan really hot with a few tablespoons of olive oil barely coating the pan. Pop in a cup or so of fresh pumpkin seeds and toss quickly for about one minute adding a teaspoon of soy sauce and toss for another 30 seconds then tip onto absorbent paper. A good healthy snackthat keeps well